Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0162 |
| Annualized Std Dev | 0.2220 |
| Annualized Sharpe (Rf=0%) | -0.0729 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3958.0000 |
| NAs | 1.0000 |
| Minimum | -0.1609 |
| Quartile 1 | -0.0045 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0054 |
| Maximum | 0.1843 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.4219 |
| Kurtosis | 27.6873 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0104 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0104 |
| Downside Deviation (0%) | 0.0104 |
| Maximum Drawdown | 0.5982 |
| Historical VaR (95%) | -0.0183 |
| Historical ES (95%) | -0.0354 |
| Modified VaR (95%) | -0.0168 |
| Modified ES (95%) | -0.0168 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-01 | 2008-11-20 | NA | -0.5982 | 3559 | 457 | NA |
| 2005-07-19 | 2005-12-20 | 2006-12-18 | -0.1626 | 359 | 109 | 250 |
| 2006-12-19 | 2007-01-05 | 2007-01-31 | -0.0505 | 28 | 11 | 17 |
| 2005-07-01 | 2005-07-05 | 2005-07-07 | -0.0079 | 4 | 2 | 2 |
| 2005-07-08 | 2005-07-11 | 2005-07-13 | -0.0035 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | -0.7 | 0.1 | 0.2 | 0.1 | 0.4 | 0.2 | 0.6 | 1 |
| 2006 | 0.4 | 0.8 | 0.6 | 0.7 | 0.5 | 1.6 | -0.4 | 0.2 | 0.8 | -0.5 | 1 | 0.5 | 6.4 |
| 2007 | -1.7 | -0.2 | 0.7 | -0.7 | 0.2 | 0.7 | -0.4 | 1.7 | 0.6 | -1 | 1.5 | 1.3 | 2.7 |
| 2008 | 0.9 | -1.6 | 2.5 | 1.9 | 1.5 | 1.7 | 0 | 0.6 | 3.8 | 1.4 | -7.3 | 1 | 6.1 |
| 2009 | -0.7 | -1.8 | 3 | 2.2 | 0.7 | 0.5 | 0.7 | -0.6 | -2.7 | -3.6 | 0.4 | -0.9 | -3 |
| 2010 | 1.1 | 0.8 | -0.5 | -1 | -0.7 | -2.6 | -0.1 | 3 | 0.2 | -0.4 | 1 | 0 | 0.8 |
| 2011 | 1 | -0.5 | 0.1 | 0.4 | -0.6 | 0.9 | 0.3 | -0.7 | -1.5 | -1.4 | 0.2 | 0.7 | -1.1 |
| 2012 | 1 | 0.8 | 0.7 | 0.2 | -1.5 | 1.1 | 0.3 | 0.1 | -0.2 | 0.9 | -0.4 | 1.6 | 4.9 |
| 2013 | 0.5 | 0.3 | -0.3 | -0.1 | -1.4 | 1.3 | 0.5 | -0.1 | 0.7 | 0 | 0.4 | -0.4 | 1.4 |
| 2014 | -0.1 | 0.1 | 0.4 | -0.1 | 0.2 | 0.5 | -1.1 | 0.3 | 0 | 0.2 | -0.2 | -3.6 | -3.5 |
| 2015 | -0.6 | 0 | 0.1 | 0.4 | 0.1 | 1.3 | 0 | -2.3 | -1 | -0.5 | -0.1 | -0.1 | -2.7 |
| 2016 | -0.9 | 2 | 0.6 | -1.3 | 0.7 | 0.1 | 0.2 | -0.1 | 0.8 | -1 | -0.9 | -0.7 | -0.5 |
| 2017 | 0.1 | 0.7 | -0.3 | -0.1 | 0.4 | 0.3 | 0.3 | 0.7 | 0.2 | 0.1 | -0.6 | 0.7 | 2.4 |
| 2018 | 0.1 | -1.2 | 0.5 | -0.8 | 0.3 | 0.8 | -0.1 | 0.1 | 0.2 | 1.2 | -0.3 | 0.8 | 1.6 |
| 2019 | 0.3 | 0.3 | -0.3 | 0.1 | -0.5 | -0.5 | -0.7 | -0.1 | -0.7 | 0.2 | 0 | 0.1 | -1.8 |
| 2020 | -0.5 | -1.7 | -7.5 | -1.9 | 0.7 | -0.4 | 0.6 | 1.3 | 0.7 | -1 | 1.2 | 0.3 | -8.2 |
| 2021 | 0.7 | 1 | 0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-06-28 20 SPY 120. 0.0084 -0.0109 -0.0008 0.0167 0.0547 0.208 -0.187 GLD 43.4 -0.0105 -0.0082
2 2005-06-29 20.0 SPY 120. -0.0027 -0.0143 0.00290 0.0159 0.0463 0.211 -0.177 GLD 43.6 0.0041 -0.0021
3 2005-06-30 20.2 SPY 119. -0.0054 -0.0057 -0.011 0.0149 0.0553 0.228 -0.174 GLD 43.4 -0.0044 -0.0132
4 2005-07-01 20.0 SPY 120. 0.00290 0.0046 -0.0102 0.0162 0.0589 0.259 -0.183 GLD 42.7 -0.017 -0.0273
5 2005-07-05 20.0 SPY 120. 0.008 0.0112 0.0028 0.0195 0.0769 0.262 -0.170 GLD 42.3 -0.0098 -0.0371
6 2005-07-06 20.2 SPY 119. -0.0084 -0.0056 -0.0047 0.0074 0.0647 0.203 -0.179 GLD 42.2 -0.0007 -0.0276
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
